The complete group classification of a generalization of the Black-Scholes-Merton model is carried out by making use of the underlying equivalence and additional equivalence transformations. For each nonlinear case obtained through this classification, invariant solutions are given. To that end, two boundary conditions of financial interest are considered, the terminal and the barrier option conditions. © 2013 Elsevier B.V.19722002211Black, F., Scholes, M., The valuation of option contracts and a test of market efficiency (1972) J Finance, 27, pp. 399-417Black, F., Scholes, M., The pricing of options and corporate liabilities (1973) J Polit Econ, 81, pp. 637-659Merton, R.C., On the pricing of corporate debt: the risk structure of interest r...
A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, i...
In this study, we consider continuous groups of transformations acting on expanded space of variable...
In this paper we construct a class of new solutions for both the Black Scholes and the Diffusion Equ...
Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Conselho Nacional de Desenvolvimento Ci...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
AbstractWe provide a group classification of a class of nonlinearisable evolution partial differenti...
We consider a family of equations with two free functional parameters containing the classical Black...
Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.In this study, we discuss der...
As the Black-Scholes equation can be transformed into the one-dimensional linear heat equation via t...
The thesis presents a new method of Symmetry Analysis of the Black-Scholes Merton Finance Model thr...
Diese Arbeit ist einer Verallgemeinerung des bekannten Black-Scholes-Modells gewidmet, welches eines...
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main p...
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main p...
In this paper, the Black-Sholes equation (BS) has been applied successfully with the Cauchy-Euler me...
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) ...
A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, i...
In this study, we consider continuous groups of transformations acting on expanded space of variable...
In this paper we construct a class of new solutions for both the Black Scholes and the Diffusion Equ...
Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Conselho Nacional de Desenvolvimento Ci...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
AbstractWe provide a group classification of a class of nonlinearisable evolution partial differenti...
We consider a family of equations with two free functional parameters containing the classical Black...
Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.In this study, we discuss der...
As the Black-Scholes equation can be transformed into the one-dimensional linear heat equation via t...
The thesis presents a new method of Symmetry Analysis of the Black-Scholes Merton Finance Model thr...
Diese Arbeit ist einer Verallgemeinerung des bekannten Black-Scholes-Modells gewidmet, welches eines...
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main p...
The Black-Merton-Scholes equation plays a fundamental role in the option pricing theory. Our main p...
In this paper, the Black-Sholes equation (BS) has been applied successfully with the Cauchy-Euler me...
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) ...
A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, i...
In this study, we consider continuous groups of transformations acting on expanded space of variable...
In this paper we construct a class of new solutions for both the Black Scholes and the Diffusion Equ...